Hi! I'm a new player and was curious if you had to pay gold for Catelyn's challeges ability? Thanks!

No. All you need to do is trigger the ability, provided the play restrictions are met. If you had to pay gold it would say so on the card. You are putting her into play via her character ability. This is entirely different from and totally unconnected to playing her as a Marshalling action. You can do either, but the two have nothing to do with each other.

Oh, and welcome to the forums (and the game).